Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0008 |
| Annualized Std Dev | 0.0844 |
| Annualized Sharpe (Rf=0%) | -0.0098 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3544.0000 |
| NAs | 1.0000 |
| Minimum | -0.0379 |
| Quartile 1 | -0.0028 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0028 |
| Maximum | 0.0406 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0053 |
| Skewness | 0.0222 |
| Kurtosis | 5.0201 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0038 |
| Gain Deviation | 0.0037 |
| Loss Deviation | 0.0037 |
| Downside Deviation (MAR=210%) | 0.0098 |
| Downside Deviation (Rf=0%) | 0.0037 |
| Downside Deviation (0%) | 0.0037 |
| Maximum Drawdown | 0.2271 |
| Historical VaR (95%) | -0.0082 |
| Historical ES (95%) | -0.0120 |
| Modified VaR (95%) | -0.0082 |
| Modified ES (95%) | -0.0124 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2011-08-29 | 2019-09-30 | -0.2271 | 2731 | 697 | 2034 |
| 2020-03-20 | 2021-01-06 | NA | -0.1424 | 253 | 202 | NA |
| 2007-06-15 | 2008-04-16 | 2008-10-15 | -0.1189 | 338 | 211 | 127 |
| 2019-10-01 | 2020-03-09 | 2020-03-13 | -0.0502 | 114 | 110 | 4 |
| 2020-03-16 | 2020-03-16 | 2020-03-18 | -0.0321 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 0.1 | -0.3 | 0.6 | 0 | -0.6 | 0 | -0.2 | 0.1 | 0.3 | 0.8 | 0.6 | 1.5 |
| 2008 | 0.4 | 0 | 1.6 | 0.8 | -0.1 | -0.1 | 0.3 | 0 | 0.4 | 1.5 | 0.6 | 0.4 | 6 |
| 2009 | 0.6 | 0.3 | 0.1 | -0.2 | -0.3 | -0.5 | -1.3 | 0.6 | 0.7 | 0.6 | -0.5 | 0.2 | 0.3 |
| 2010 | -0.4 | 0.3 | -0.6 | -0.2 | 0 | -1.8 | 0 | -0.8 | -0.8 | 0.2 | -0.9 | -0.9 | -5.7 |
| 2011 | -1 | 0.1 | -0.1 | 0 | 0.2 | -0.1 | 0.5 | 0.4 | 1 | 1.1 | 0 | -0.2 | 2 |
| 2012 | -0.5 | 0 | -0.1 | 0.1 | -0.3 | -1.4 | 0.7 | -0.6 | -0.2 | 0.1 | -0.1 | 0.1 | -2.1 |
| 2013 | -0.1 | 0.3 | -0.4 | -0.1 | 0.3 | -0.2 | 0.8 | 0.1 | -0.1 | 0.6 | -0.1 | 0.1 | 1.3 |
| 2014 | 0.3 | -0.7 | 0 | 0 | -0.2 | 0 | -0.1 | 0.2 | -0.1 | 0.8 | -0.5 | 0.3 | 0 |
| 2015 | 0.1 | 0 | 0 | 0.5 | 0.6 | 0.8 | -0.3 | -0.6 | 0 | -0.4 | -0.5 | 0.5 | 0.8 |
| 2016 | -0.7 | 0 | 0 | -0.7 | -0.6 | -0.3 | 0.3 | -0.4 | 0 | -0.5 | -0.5 | -0.3 | -3.7 |
| 2017 | 0.1 | 0.7 | 0 | 0.1 | 0.1 | 0.2 | 0.2 | 0.2 | -0.1 | 0.2 | -0.1 | -0.4 | 1.1 |
| 2018 | -0.5 | -0.3 | -0.1 | 0.7 | 0.2 | -0.8 | 0.1 | 0.4 | 0.2 | -0.7 | 0.4 | -0.2 | -0.7 |
| 2019 | 0 | 0.4 | -0.1 | 0.1 | -0.4 | 0.7 | -0.3 | 0.4 | -0.3 | 0 | -0.1 | -0.3 | 0.1 |
| 2020 | -0.4 | -0.3 | 0.6 | 0.1 | -0.6 | -0.2 | 0.6 | 0.2 | -0.2 | 0.1 | -0.9 | 0.3 | -0.6 |
| 2021 | 0.5 | 0.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
